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Level, Slope, Curvature: Characterising the Yield Curve in a Cointegrated VAR Model
Giese, Julia V. - In: Economics: The Open-Access, Open-Assessment E-Journal 2 (2008) 2008-28, pp. 1-20
Empirical evidence on the expectations hypothesis of the term structure is in-conclusive and its validity widely debated. Using a cointegrated VAR model of US treasury yields, this paper extends a common approach to test the theory. If, as we find, spreads between two yields are non-stationary,...
Persistent link: https://www.econbiz.de/10010298612
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Containment and Resolution in the Financial Crisis: Too Little, Too Late
Honohan, Patrick - In: CESifo Forum 09 (2008) 4, pp. 22-27
Persistent link: https://www.econbiz.de/10011695909
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Geldpolitik und Vermögensmärkte
Dreger, Christian; Wolters, Jürgen - In: Vierteljahrshefte zur Wirtschaftsforschung 78 (2009) 1, pp. 56-65
die USA, den Euroraum, Japan und Großbritannien spezifiziert. Während die Geldpolitik keinen Einfluss auf die Entwicklung …. Andererseits wäre im Fall steigender Vermögenspreise eine restriktivere Geldpolitik erforderlich, die die Dynamik von Produktion … eine restriktivere Geldpolitik bei nicht fundamental begründeten Preissteigerungen tatsächlich dämpfend auf die Entwicklung …
Persistent link: https://www.econbiz.de/10010377866
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The External Finance Premium and the Financial Accelerator: The Case of Turkey
Cambazoğlu, Birgül; Karaalp, Hacer Simay - In: International Journal of Economic Sciences and Applied … 6 (2013) 1, pp. 103-121
The monetary transmission mechanisms have influence on saving and investment decisions of firms and households by affecting their balance sheets. This study examines the effects of monetary policy through the balance sheet channel (also known as 'financial accelerator'), which affects net worth,...
Persistent link: https://www.econbiz.de/10011310246
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Term structure dynamics at low and negative interest rates: Evidence from Switzerland
Grisse, Christian; Schumacher, Silvio - In: Swiss Journal of Economics and Statistics 154 (2018) 1, pp. 1-17
This paper studies the transmission of changes in short-term interest rates to longer-term government bond yields when interest rates are at very low levels or negative. We focus on Switzerland, where short-term interest rates have been at zero since late 2008 and negative since the beginning of...
Persistent link: https://www.econbiz.de/10013205748
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Natural yield curve: The case of Indonesia
Bary, Pakasa; Affandi, Yoga; Harahap, Berry A.; … - In: Contemporary Economics 14 (2020) 2, pp. 182-200
The purpose of this study is to estimate the natural yield curve for an emerging economy, with Indonesia as a case study. The estimation is done by a two-stage approach, namely, the decomposition of the yield curve component through a dynamic Nelson-Siegel model, the results of which are then...
Persistent link: https://www.econbiz.de/10014544655
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Testing the New Keynesian Model on U.S. and Euro Area Data
Juselius, Mikael - In: Economics: The Open-Access, Open-Assessment E-Journal 2 (2008) 2008-24, pp. 1-26
I apply the Johansen and Swensen (1999, 2004) method of testing exact rational expectations within the cointegrated VAR (Vector Auto-Regressive) model, to testing the New Keynesian (NK) model. This method permits the testing of rational expectation systems, while allowing for non-stationary...
Persistent link: https://www.econbiz.de/10010295321
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Stock returns and implied volatility: A new VAR approach
Lee, Bong Soo; Ryu, Doojin - In: Economics: The Open-Access, Open-Assessment E-Journal 7 (2013) 2013-3, pp. 1-20
The authors re-examine the return-volatility relationship and its dynamics under a new vector autoregression (VAR) identification framework. By analyzing two model-free impliedvolatility indices - the well-established VIX (in the United States) and the recently published VKOSPI (in Korea) - and...
Persistent link: https://www.econbiz.de/10010311635
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Unconventional U.S. monetary policy: New tools, same channels?
Feldkircher, Martin; Huber, Florian - In: Journal of Risk and Financial Management 11 (2018) 4, pp. 1-31
In this paper, we compare the transmission of a conventional monetary policy shock with that of an unexpected decrease in the term spread, which mirrors quantitative easing. Employing a time-varying vector autoregression with stochastic volatility, our results are two-fold: First, the spread...
Persistent link: https://www.econbiz.de/10012611059
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Connecting VIX and stock index ETF with VAR and diagonal BEKK
Chang, Chia-Lin; Hsieh, Tai-Lin; McAleer, Michael - In: Journal of Risk and Financial Management 11 (2018) 4, pp. 1-25
heteroskedasticity in the VAR estimates of ETF returns. Daily data on ETF returns that follow different stock indexes in the USA and …
Persistent link: https://www.econbiz.de/10012611071